scholarly journals Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand

2016 ◽  
Author(s):  
Komain Jiranyakul
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Current Account ◽  
Asset Prices ◽  
Structural Var

scholarly journals Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand

2017 ◽  
Vol 7 (2) ◽  
pp. 163
Author(s):  
Komain Jiranyakul
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Current Account ◽  
Stock Prices ◽  
Asset Prices ◽  
Housing Prices ◽  
Structural Var ◽  
Short Run ◽  
The Impact ◽  
The Current Account

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand’s quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the current imbalances. The paper employs a structural VAR methodology with short-run restrictions. The estimates of structural VAR models are able to identify interactions among asset prices, real exchange rate, and the current account. The estimated results from two different structural models show that the responses of current account to shocks are different. It can be concluded that shocks to real exchange rate affect current account and that shocks to real housing prices can better explain current account fluctuations than shocks to real stock prices. Based upon the results from this study, policymakers should take into account the importance of shocks to real exchange rate and real housing prices that can affect the current account of the country. 

scholarly journals Interlinkage Between Real Exchange Rate And Current Account Behaviors: Evidence From India

2015 ◽  
Vol 31 (4) ◽  
pp. 1199-1204
Author(s):  
Mohamed Arouri ◽  
Arif Billah Dar ◽  
Niyati Bhanja ◽  
Aviral Kumar Tiwari ◽  
Frederic Teulon
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Current Account ◽  
Current Account Deficit ◽  
Real Exchange Rates ◽  
Structural Var ◽  
Real Effective Exchange Rate ◽  
Effective Exchange ◽  
Positive Shock ◽  
The Current Account

The study analyzes the dynamic interlinkage between Indias real effective exchange rate and real current account deficit using standard VAR and structural VAR (SVAR). The empirical analysis suggests that a real currency appreciation leads to an improvement in the current account deficit, thereby highlighting the occurrence of permanent shocks such as technical innovations, productivity shocks, and changes in tastes and preferences. A positive shock to the current account deficit leads to an appreciation in the real exchange rate. Moreover, both current account and real exchange rates are found to be affected by the changes in these variables themselves rather than changes in the other variables in the system.

INTERNATIONAL MACROECONOMIC FLUCTUATIONS

2014 ◽  
Vol 19 (7) ◽  
pp. 1509-1539 ◽  
Author(s):  
Soyoung Kim ◽  
Jaewoo Lee
Keyword(s):  
United States ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Current Account ◽  
The United States ◽  
Structural Var ◽  
Macroeconomic Fluctuations ◽  
Technology Shocks ◽  
Demand Shocks ◽  
Supply Level

This paper investigates the international dimension of economic fluctuations and transmission of structural shocks by estimating a structural VAR model for the United States, the euro area, and Japan—the three largest economies—over the post-Bretton Woods period. The main findings are as follows: (1) Supply-side shocks (technology and supply-level shocks) explain most of the fluctuations in cross-country output deviations. (2) Real-demand shocks are the most important source of real-exchange-rate fluctuations. (3) Current account is usually influenced by all types of shocks, with technology shocks playing a stronger role. In particular, technology shocks play a prominent role in the existing global imbalance (the large external deficit of the United States). (4) Technology and supply-level shocks generate opposite-signed correlations between output differential and current account, whereas real and nominal-demand shocks generate opposite-signed correlations between real exchange rate and current account.

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